Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework
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Publication:3632847
DOI10.2143/AST.36.2.2017932zbMath1162.91369OpenAlexW2098216610MaRDI QIDQ3632847
Andrea Gheno, Massimiliano Corradini, Marisa Cenci
Publication date: 15 June 2009
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.36.2.2017932
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Cites Work
- Convex duality in constrained portfolio optimization
- On the pricing of contingent claims under constraints
- Risk, Ambiguity, and the Savage Axioms
- A Universal Framework for Pricing Financial and Insurance Risks
- The Dual Theory of Choice under Risk
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine